Portfolio Performance Analysis of Conventional Commercial Bank Stocks Using Jensen's Alpha Method on the Indonesia Stock Exchange
DOI:
https://doi.org/10.59890/ijgsr.v4i5.239Keywords:
Jensen's Alpha, Portfolio Performance, Conventional Banks, Indonesia Stock Exchange, Systematic Risk, CAPMAbstract
This study analyzes the portfolio performance of conventional commercial bank stocks listed on the Indonesia Stock Exchange (IDX) for the 2022–2024 period using Jensen's Alpha method. The portfolio consists of four major state-owned banks: Bank Negara Indonesia (BNI/BBNI), Bank Tabungan Negara (BTN/BBTN), Bank Rakyat Indonesia (BRI/BBRI), and Bank Mandiri (BMRI), each allocated an equal weight of 25%. Performance is measured using Jensen's Alpha, which evaluates whether the portfolio generates excess returns beyond what is expected based on its systematic risk (beta) relative to the market. Secondary data were collected from IDX, Bank Indonesia, and Investing.com. Results indicate that the portfolio outperformed the market benchmark in 2022 and 2023 with positive alpha values of 15.84% and 5.81%, respectively, demonstrating the effectiveness of diversification in positive market conditions. However, in 2024, the portfolio recorded a negative alpha of −15.68%, reflecting broad-based banking sector weakness amid a stagnant market. Individual stock analysis reveals that Bank Mandiri consistently exhibited the highest resilience, while BTN underperformed across all periods. These findings underscore the importance of macroeconomic awareness and dynamic risk management in constructing bank stock portfolios
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